The Chile international was initially expected to join Manchester City in the January transfer window, only for the Red Devils to swoop in and hijack the deal last week.
And, the former Barcelona forward is now set to complete his move from the Emirates Stadium to Old Trafford, with Henrikh Mkhitaryan expected to go the other way in a player-plus-cash deal.
"I worked on transfers for 30 years so it [Sanchez's exit] is likely to happen, but at any moment it can break down," said Wenger.
The Frenchman also added it was a "possibility" the Gunners can reach an agreement with Mkhitaryan, who is believed to be key in any deal for Sanchez to join United.
"My understanding is yes.The wages would not be a problem," Wenger said of Mkhitaryan.
"This would be an exchange of players and I think one would replace the other. Are we still on the transfer market after that? Yes."